Janet - wait at least a season before you do anything to that deck - treated lumber is very wet - which can cause problems.
When you are ready to finish it - go with a SEMI-TRANSPARENT STAIN - NOT A SOLID COLOR STAIN.
Any solid coating will peel - even a solid stain labelled as a deck stain! A semi-trans will let the color and grain of the wood show through - and will wear away over time - it will not peel.